Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0791
Annualized Std Dev 0.4643
Annualized Sharpe (Rf=0%) -0.1704

Row

Daily Return Statistics

Close
Observations 3255.0000
NAs 1.0000
Minimum -0.1876
Quartile 1 -0.0136
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean -0.0003
Quartile 3 0.0144
Maximum 0.2185
SE Mean 0.0005
LCL Mean (0.95) -0.0009
UCL Mean (0.95) 0.0011
Variance 0.0009
Stdev 0.0292
Skewness -0.0468
Kurtosis 6.2995

Downside Risk

Close
Semi Deviation 0.0209
Gain Deviation 0.0208
Loss Deviation 0.0216
Downside Deviation (MAR=210%) 0.0253
Downside Deviation (Rf=0%) 0.0208
Downside Deviation (0%) 0.0208
Maximum Drawdown 0.9567
Historical VaR (95%) -0.0447
Historical ES (95%) -0.0697
Modified VaR (95%) -0.0447
Modified ES (95%) -0.0705
From Trough To Depth Length To Trough Recovery
2008-05-19 2012-11-20 NA -0.9567 3233 1137 NA
2008-04-17 2008-05-01 2008-05-13 -0.0653 19 11 8
2008-05-15 2008-05-15 2008-05-16 -0.0010 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA -2.5 5.1 -4.8 -1.7 0.7 4.5 4.8 -16.2 2.8 -8.8
2009 1.7 -2.4 2.3 1.3 7.3 0.7 -2.4 -4.7 -5 -4.1 3.3 -0.1 -2.6
2010 2.7 -0.5 0.2 -2.8 -3.8 2.9 -3.3 3.7 -1 -1.3 2.8 0.3 -0.4
2011 2.1 -1.6 -0.6 4.1 -4.1 0.8 1.2 -3.3 -5.3 -4.9 0 -0.4 -11.6
2012 2.3 -1.9 0 3.2 -3.1 3.4 -0.8 1.9 -1 2.3 0.2 2.8 9.6
2013 0.9 -1.1 -1.4 -2.2 -3.8 2.3 -2.4 1.1 4.1 3.7 -1.4 -1.7 -2.2
2014 -2.1 -1.2 2.5 1.2 -2.6 -0.4 -2.1 0.8 -3.1 2.8 -5.2 1.3 -8
2015 -0.6 0.1 1.5 1 -1.4 -1 -2 -2.4 0.3 -1.7 3 0.1 -3.2
2016 -0.7 -0.6 -0.1 -1.5 0.4 0.2 1.1 -0.4 0.2 -0.5 -1 -0.8 -3.7
2017 0.5 -0.6 -0.1 -0.2 0.2 0.4 0.5 1 0.7 0.5 -1.5 -0.4 0.9
2018 -1.3 0.3 1.2 -1.1 -1.2 0.1 -0.5 0.7 0 3.5 -2.5 -0.1 -1.1
2019 -2.4 0.5 1.9 1.1 -1.2 1.9 2.9 0 -1.7 0.3 -1 0.3 2.6
2020 -2.8 -0.1 -5.5 -4.4 3.3 1.9 -0.1 1.3 3.7 -2.8 -1.4 0.4 -6.8
2021 1.7 5.7 3 NA NA NA NA NA NA NA NA NA 10.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-04-15  260. SPY    133.  0.0023  -0.0262   0.028  -0.0569   -0.0918    0.136    0.529 GLD    91.7  0.006    0.0145
2 2008-04-16  273. SPY    137.  0.0271   0.0075   0.0666 -0.00960  -0.0696    0.182    0.538 GLD    93.3  0.0176   0.0106
3 2008-04-17  263. SPY    137.  0.0015   0.0076   0.0256  0.0005   -0.0694    0.201    0.526 GLD    92.6 -0.0076   0.0086
4 2008-04-18  266. SPY    138.  0.0104   0.0382   0.0626  0.0378   -0.0594    0.209    0.569 GLD    90.6 -0.021   -0.0074
5 2008-04-21  269  SPY    139.  0.0005   0.0423   0.049   0.0491   -0.0678    0.200    0.547 GLD    90.2 -0.0041  -0.0094
6 2008-04-22  271. SPY    138. -0.0044   0.0353   0.0239  0.0552   -0.0684    0.212    0.539 GLD    90.3  0.0002  -0.0152
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart